Nestplus, are you still active on this thread?
I am working on exporting the market data out of your platform for algorithmic decision making. Since you have used an RTD interface, which in essence is a COM interface, I am trying to communicate using the Win32 API to your application from outside. I do get bind to your COM interface, but when I subscribe to update feed, my callback function is not accepted for some reason. Its a simple "Console.Writeline" function, so it seems quite weird that I get error while running the code (it gets compiled fine, but then its .Net so it get JIT compiled at the runtime which could also be the cause, debug has no useful information).
Is there any documentation of your COM interface? The .Net assembly help is not of much help. I know it is possible, as there are some "real time" data providers who export data from NEST/NOW and sell it outside. So any meaningful pointer will be helpful.